报告时间：2026年1月26日（星期一）15:00-16:00
报告地点：科教楼B座1710室
报 告 人：Song-Ping Zhu 教授
工作单位：University of Wollongong
举办单位：数学学院
报告简介：
As exotic options, Parisian and Parasian options can be very useful in determining if a bankruptcy protection should be sought. This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected “fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in finance, particularly corporate finance, as well as potentially for other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.
报告人简介：
Song-Ping Zhu教授是澳大利亚伍伦贡大学应用数学专业的资深教授。他于1987年12月毕业于美国密歇根大学安娜堡分校，获得博士学位。他在国际期刊及会议论文集上发表论文200余篇，并获得澳大利亚研究理事会及工业界超过200万澳元的研究资助。其研究工作在国内外均获得广泛认可（ISI Web of Science 显示其总引用次数超过2000次，H指数为30）。在他的教学与研究生涯中，已成功指导18名博士生及多名博士后。他还曾组织两场国际会议，并多次受邀在国际会议上作特邀报告。
